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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in CBOE Gold Volatility Index, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
CBOE Gold Volatility Index (^GVZ) has returned 62.58% so far this year and 117.99% over the past 12 months. Over the last ten years, ^GVZ has returned 7.98% per year, falling short of the S&P 500 Index benchmark, which averaged 12.16% annually.
CBOE Gold Volatility Index
- 1D
- -8.94%
- 1M
- 17.03%
- YTD
- 62.58%
- 6M
- 94.94%
- 1Y
- 117.99%
- 3Y*
- 30.97%
- 5Y*
- 18.36%
- 10Y*
- 7.98%
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Jun 3, 2008, ^GVZ's average daily return is +0.16%, while the average monthly return is +1.68%. At this rate, your investment would double in approximately 3.5 years.
Historically, 46% of months were positive and 54% were negative. The best month was Jan 2026 with a return of +84.3%, while the worst month was Jun 2009 at -26.5%. The longest winning streak lasted 6 consecutive months, and the longest losing streak was 6 months.
On a daily basis, ^GVZ closed higher 45% of trading days. The best single day was Apr 15, 2013 with a return of +61.7%, while the worst single day was Mar 17, 2009 at -36.0%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 84.28% | -24.61% | 17.03% | 62.58% | |||||||||
| 2025 | 8.21% | 0.00% | 12.77% | 20.63% | -11.25% | -9.37% | -7.34% | 8.42% | 14.72% | 13.58% | 0.93% | 4.59% | 63.61% |
| 2024 | -16.97% | -15.20% | 38.35% | 7.12% | -7.74% | -3.54% | 21.47% | -8.28% | 10.24% | 7.63% | -15.88% | -10.69% | -7.76% |
| 2023 | -3.08% | -10.03% | 22.16% | -4.85% | -5.10% | -22.97% | 1.00% | -3.13% | 9.85% | 25.43% | -12.38% | 11.46% | -2.46% |
| 2022 | 14.31% | 25.57% | -3.43% | -2.07% | -13.31% | 14.08% | -15.91% | 3.21% | 14.69% | -6.40% | -15.44% | 5.18% | 11.23% |
| 2021 | -0.72% | 2.13% | -19.02% | -14.59% | 10.29% | -0.68% | -5.51% | 2.52% | 10.92% | -6.35% | 11.95% | -18.79% | -29.73% |
Benchmark Metrics
CBOE Gold Volatility Index has an annualized alpha of 72.38%, beta of -1.30, and R² of 0.09 versus S&P 500 Index. Calculated based on daily prices since June 04, 2008.
- This index tended to rise when S&P 500 Index fell (downside capture of -306.15%), but participation in market rallies was also limited (-64.12%) — a profile typical of counter-cyclical assets.
- Beta of -1.30 may look defensive, but with R² of 0.09 this index is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this index's risk.
- R² of 0.09 means this index moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 72.38%
- Beta
- -1.30
- R²
- 0.09
- Upside Capture
- -64.12%
- Downside Capture
- -306.15%
Return for Risk
Risk / Return Rank
^GVZ ranks 78 for risk / return — better than 78% of indices on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for CBOE Gold Volatility Index (^GVZ) and compare them to a chosen benchmark (S&P 500 Index).
| ^GVZ | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.17 | 0.90 | +0.28 |
Sortino ratioReturn per unit of downside risk | 2.25 | 1.39 | +0.87 |
Omega ratioGain probability vs. loss probability | 1.24 | 1.21 | +0.03 |
Calmar ratioReturn relative to maximum drawdown | 2.85 | 1.40 | +1.45 |
Martin ratioReturn relative to average drawdown | 4.49 | 6.61 | -2.12 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore ^GVZ risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the CBOE Gold Volatility Index. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the CBOE Gold Volatility Index was 86.24%, occurring on May 29, 2019. The portfolio has not yet recovered.
The current CBOE Gold Volatility Index drawdown is 39.73%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -86.24% | Oct 13, 2008 | 2674 | May 29, 2019 | — | — | — |
| -31.15% | Jul 14, 2008 | 14 | Jul 31, 2008 | 28 | Sep 10, 2008 | 42 |
| -20.75% | Sep 19, 2008 | 4 | Sep 24, 2008 | 12 | Oct 10, 2008 | 16 |
| -5.75% | Jun 11, 2008 | 6 | Jun 18, 2008 | 2 | Jun 20, 2008 | 8 |
| -5.61% | Jul 2, 2008 | 5 | Jul 9, 2008 | 2 | Jul 11, 2008 | 7 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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